Чистка кода

KLHZ.Trader.Core.Contracts/Declisions/Dtos/CachedValue.cs

@@ -3,7 +3,7 @@
     public class CachedValue
     {
         public DateTime Time { get; init; }
-        public decimal Value { get; init; }
+        public decimal Count { get; init; }
-        public decimal Value2 { get; init; }
+        public decimal Price { get; init; }
     }
 }

KLHZ.Trader.Core.Math/Declisions/Utils/Statistics.cs

@@ -7,12 +7,12 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
 
         public static decimal Mean(this CachedValue[] values)
         {
-            return values.Sum(x => x.Value) / values.Length;
+            return values.Sum(x => x.Count) / values.Length;
         }
 
         public static decimal Mean2(this CachedValue[] values)
         {
-            return values.Sum(x => x.Value2) / values.Length;
+            return values.Sum(x => x.Price) / values.Length;
         }
 
         private static (decimal mean, decimal std) CaclSigma(decimal[] values)
@@ -94,9 +94,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
                 {
                     var tradevolume_diffMean = values.Mean();
                     var dprice_diffMean = values.Mean2();
-                    var sum1 = (double)values.Sum(d => (d.Value - tradevolume_diffMean) * (d.Value2 - dprice_diffMean));
+                    var sum1 = (double)values.Sum(d => (d.Count - tradevolume_diffMean) * (d.Price - dprice_diffMean));
-                    var sum2 = values.Sum(d => (d.Value - tradevolume_diffMean) * (d.Value - tradevolume_diffMean));
+                    var sum2 = values.Sum(d => (d.Count - tradevolume_diffMean) * (d.Count - tradevolume_diffMean));
-                    var sum3 = values.Sum(d => (d.Value2 - dprice_diffMean) * (d.Value2 - dprice_diffMean));
+                    var sum3 = values.Sum(d => (d.Price - dprice_diffMean) * (d.Price - dprice_diffMean));
                     if (sum2 != 0 && sum3 != 0)
                     {
                         result = (decimal)(sum1 / System.Math.Sqrt((double)(sum2 * sum3)));

KLHZ.Trader.Core/Common/TradeDirection.cs

@@ -1,4 +1,4 @@
-namespace KLHZ.Trader.Core.DataLayer.Entities.Trades.Enums
+namespace KLHZ.Trader.Core.Common
 {
     public enum TradeDirection
     {

KLHZ.Trader.Core/DataLayer/Entities/Trades/Enums/AssetType.cs

@@ -1,10 +0,0 @@
-namespace KLHZ.Trader.Core.DataLayer.Entities.Trades.Enums
-{
-    public enum AssetType
-    {
-        Unknown = 0,
-        Common = 1,
-        Future = 2,
-        Currency = 3,
-    }
-}

KLHZ.Trader.Core/DataLayer/Entities/Trades/Enums/PositionType.cs

@@ -1,9 +0,0 @@
-namespace KLHZ.Trader.Core.DataLayer.Entities.Trades.Enums
-{
-    public enum PositionType
-    {
-        Unknown = 0,
-        Long = 1,
-        Short = 2
-    }
-}

KLHZ.Trader.Core/DataLayer/Entities/Trades/Trade.cs

@@ -1,52 +0,0 @@
-using KLHZ.Trader.Core.DataLayer.Entities.Trades.Enums;
-using System.ComponentModel.DataAnnotations.Schema;
-
-namespace KLHZ.Trader.Core.DataLayer.Entities.Trades
-{
-    /// <summary>
-    /// Сделка, совершенная ботом.
-    /// </summary>
-    [Table("trades")]
-    public class Trade
-    {
-        [Column("trade_id")]
-        public long Id { get; set; }
-
-        [Column("bought_at")]
-        public DateTime BoughtAt { get; set; }
-
-        [Column("account_id")]
-        public required string AccountId { get; set; }
-
-        [Column("figi")]
-        public required string Figi { get; set; }
-
-        [Column("ticker")]
-        public required string Ticker { get; set; }
-
-        [Column("price")]
-
-        public decimal Price { get; set; }
-
-        [Column("count")]
-        public decimal Count { get; set; }
-
-        [Column("count_lots")]
-        public decimal CountLots { get; set; }
-
-        [Column("archive_status")]
-        public int ArchiveStatus { get; set; }
-
-        [Column("direction")]
-        public TradeDirection Direction { get; set; }
-
-        [Column("position_type")]
-        public PositionType Position { get; set; }
-
-        [Column("asset_type")]
-        public AssetType Asset { get; set; }
-
-        [Column("asset_id")]
-        public Guid AssetId { get; set; }
-    }
-}

KLHZ.Trader.Core/DataLayer/TraderDbContext.cs

@@ -1,7 +1,6 @@
 using KLHZ.Trader.Core.DataLayer.Entities.Declisions;
 using KLHZ.Trader.Core.DataLayer.Entities.Orders;
 using KLHZ.Trader.Core.DataLayer.Entities.Prices;
-using KLHZ.Trader.Core.DataLayer.Entities.Trades;
 using Microsoft.EntityFrameworkCore;
 
 
@@ -9,7 +8,6 @@ namespace KLHZ.Trader.Core.DataLayer
 {
     public class TraderDbContext : DbContext
     {
-        public DbSet<Trade> Trades { get; set; }
         public DbSet<Declision> Declisions { get; set; }
         public DbSet<PriceChange> PriceChanges { get; set; }
         public DbSet<ProcessedPrice> ProcessedPrices { get; set; }
@@ -23,15 +21,6 @@ namespace KLHZ.Trader.Core.DataLayer
         {
             modelBuilder.UseSerialColumns();
 
-            modelBuilder.Entity<Trade>(entity =>
-            {
-                entity.HasKey(e1 => e1.Id);
-                entity.Property(e => e.BoughtAt)
-                    .HasConversion(
-                        v => v.ToUniversalTime(),
-                        v => DateTime.SpecifyKind(v, DateTimeKind.Utc));
-            });
-
             modelBuilder.Entity<Declision>(entity =>
             {
                 entity.HasKey(e1 => e1.Id);

KLHZ.Trader.Core/Exchange/Models/AssetsAccounting/DealResult.cs

@@ -1,12 +0,0 @@
-namespace KLHZ.Trader.Core.Exchange.Models.AssetsAccounting
-{
-    public class DealResult
-    {
-        public required string AccountId { get; set; }
-        public required string Figi { get; set; }
-        public decimal Price { get; set; }
-        public decimal Count { get; set; }
-        public bool Success { get; set; }
-        public DealDirection Direction { get; set; }
-    }
-}

KLHZ.Trader.Core/Exchange/Models/AssetsAccounting/Order.cs

@@ -1,15 +0,0 @@
-namespace KLHZ.Trader.Core.Exchange.Models.AssetsAccounting
-{
-    public class Order
-    {
-        public required string AccountId { get; init; }
-        public required string Figi { get; init; }
-        public required string Ticker { get; init; }
-        public required string OrderId { get; init; }
-        public decimal Price { get; init; }
-        public long Count { get; init; }
-        public DateTime ExpirationTime { get; init; }
-        public DateTime OpenDate { get; init; }
-        public DealDirection Direction { get; init; }
-    }
-}

KLHZ.Trader.Core/Exchange/Models/Configs/ExchangeConfig.cs

@@ -2,16 +2,16 @@
 {
     public class ExchangeConfig
     {
-        public bool ExchangeDataRecievingEnabled { get; set; }
+        public bool ExchangeDataRecievingEnabled { get; init; }
-        public decimal StopBuyLengthMinuts { get; set; }
+        public decimal StopBuyLengthMinuts { get; init; }
-        public decimal FutureComission { get; set; }
+        public decimal FutureComission { get; init; }
-        public decimal ShareComission { get; set; }
+        public decimal ShareComission { get; init; }
-        public decimal AccountCashPart { get; set; }
+        public decimal AccountCashPart { get; init; }
-        public decimal AccountCashPartFutures { get; set; }
+        public decimal AccountCashPartFutures { get; init; }
-        public decimal DefaultBuyPartOfAccount { get; set; }
+        public decimal DefaultBuyPartOfAccount { get; init; }
-        public string[] DataRecievingInstrumentsFigis { get; set; } = [];
+        public string[] DataRecievingInstrumentsFigis { get; init; } = [];
-        public string[] TradingInstrumentsFigis { get; set; } = [];
+        public string[] TradingInstrumentsFigis { get; init; } = [];
-        public string[] ManagingAccountNamePatterns { get; set; } = [];
+        public string[] ManagingAccountNamePatterns { get; init; } = [];
-        public InstrumentSettings[] InstrumentsSettings { get; set; } = [];
+        public InstrumentSettings[] InstrumentsSettings { get; init; } = [];
     }
 }

KLHZ.Trader.Core/Exchange/Services/ExchangeDataReader.cs

@@ -6,7 +6,6 @@ using KLHZ.Trader.Core.DataLayer.Entities.Orders;
 using KLHZ.Trader.Core.DataLayer.Entities.Prices;
 using KLHZ.Trader.Core.Exchange.Extentions;
 using KLHZ.Trader.Core.Exchange.Models.Configs;
-using KLHZ.Trader.Core.Exchange.Utils;
 using Microsoft.EntityFrameworkCore;
 using Microsoft.Extensions.Hosting;
 using Microsoft.Extensions.Logging;
@@ -156,39 +155,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                         Count = response.Trade.Quantity,
                     };
 
-                    //await _tradeDataProvider.AddData(message, TimeSpan.FromHours(7));
                     await _eventBus.Broadcast(message);
-
-                    var exchangeState = ExchangeScheduler.GetCurrentState();
-                    if (exchangeState == Models.Trading.ExchangeState.ClearingTime
-                        && lastUpdateDict.TryGetValue(message.Figi, out var pri)
-                        && (DateTime.UtcNow - pri.Time).Minutes > 3)
-                    {
-                        var assets = _portfolioWrapper.Accounts.Values.SelectMany(a => a.Assets.Values).Where(a => a.Figi == message.Figi).ToArray();
-
-                        foreach (var a in assets)
-                        {
-                            using var context = await _dbContextFactory.CreateDbContextAsync();
-                            context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
-                            await context.Trades.AddAsync(new DataLayer.Entities.Trades.Trade()
-                            {
-                                AssetId = a.AssetId,
-                                AccountId = string.Empty,
-                                Figi = message.Figi,
-                                Ticker = string.Empty,
-                                ArchiveStatus = 0,
-                                Asset = (KLHZ.Trader.Core.DataLayer.Entities.Trades.Enums.AssetType)(int)a.Type,
-                                BoughtAt = DateTime.UtcNow,
-                                Count = 0,
-                                Direction = a.Count > 0 ? DataLayer.Entities.Trades.Enums.TradeDirection.Buy : DataLayer.Entities.Trades.Enums.TradeDirection.Sell,
-                                Position = a.Count > 0 ? DataLayer.Entities.Trades.Enums.PositionType.Long : DataLayer.Entities.Trades.Enums.PositionType.Short,
-                                Price = message.Value,
-                            });
-                            await context.SaveChangesAsync();
-                        }
-                    }
-                    lastUpdateDict[message.Figi] = message;
-
                     pricesBuffer.Add(message);
                 }
                 if (response.Orderbook != null)

KLHZ.Trader.Core/Exchange/Services/ManagedAccount.cs

@@ -50,13 +50,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
 
         public ImmutableDictionary<string, Asset> Assets => GetAssets();
 
-
         private readonly InvestApiClient _investApiClient;
         private readonly IDbContextFactory<TraderDbContext> _dbContextFactory;
         private readonly ILogger<TraderDataProvider> _logger;
         private readonly IOptions<ExchangeConfig> _options;
 
-
         private readonly Dictionary<string, Asset> _assets = new();
         private readonly ConcurrentDictionary<string, DateTime> _usedOrderIds = new();
 
@@ -140,26 +138,20 @@ namespace KLHZ.Trader.Core.Exchange.Services
             using var context = await _dbContextFactory.CreateDbContextAsync();
             context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
 
-            var trades = await context.Trades
-                .Where(t => t.ArchiveStatus == 0)
-                .OrderByDescending(t => t.BoughtAt)
-                .ToListAsync();
-
             var oldAssets = _assets.ToDictionary();
             _assets.Clear();
             foreach (var position in portfolio.Positions)
             {
                 oldAssets.TryGetValue(position.Figi, out var oldAsset);
                 var newAssetId = oldAsset?.AssetId ?? Guid.NewGuid();
-                var trade = trades.FirstOrDefault(t => t.Figi == position.Figi && t.AssetId == newAssetId);
                 var asset = new Asset()
                 {
                     AssetId = newAssetId,
                     AccountId = AccountId,
                     Figi = position.Figi,
                     Ticker = position.Ticker,
-                    BoughtAt = trade?.BoughtAt ?? DateTime.UtcNow,
+                    BoughtAt = oldAsset?.BoughtAt ?? DateTime.UtcNow,
-                    BoughtPrice = trade?.Price ?? position.AveragePositionPrice,
+                    BoughtPrice = oldAsset?.BoughtPrice ?? position.AveragePositionPrice,
                     Type = position.InstrumentType.ParseInstrumentType(),
                     Position = position.Quantity > 0 ? PositionType.Long : PositionType.Short,
                     BlockedItems = position.BlockedLots,

KLHZ.Trader.Core/Exchange/Services/TraderDataProvider.cs

@@ -257,7 +257,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                         {
                             if (ShapeAreaCalculator.TryGetAreasRelation(cachedData.timestamps, cachedData.prices, price.Value, Constants.AreasRelationWindow, out var rel))
                             {
-                                await AddDataTo1MinuteWindowCache(price.Figi, Constants._1minCacheKey, new CachedValue() { Time = price.Time, Value = (decimal)rel });
+                                await AddDataTo1MinuteWindowCache(price.Figi, Constants._1minCacheKey, new CachedValue() { Time = price.Time, Count = (decimal)rel });
                             }
                         }
                     }

KLHZ.Trader.Core/Exchange/Utils/TraderUtils.cs

@@ -0,0 +1,93 @@
+using KLHZ.Trader.Core.Common;
+using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
+using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
+using KLHZ.Trader.Core.DataLayer.Entities.Prices;
+using KLHZ.Trader.Core.Exchange.Interfaces;
+using KLHZ.Trader.Core.Exchange.Models.AssetsAccounting;
+using System.Collections.Immutable;
+
+namespace KLHZ.Trader.Core.Exchange.Utils
+{
+    internal static class TraderUtils
+    {
+        internal static Dictionary<TradingEvent, decimal> MergeResultsMult(Dictionary<TradingEvent, decimal> res, ImmutableDictionary<TradingEvent, decimal> data)
+        {
+            foreach (var k in res.Keys)
+            {
+                var valRes = res[k];
+                var valData = data[k];
+                res[k] = valRes * valData;
+            }
+            return res;
+        }
+
+        internal static Dictionary<TradingEvent, decimal> MergeResultsMax(Dictionary<TradingEvent, decimal> res, ImmutableDictionary<TradingEvent, decimal> data)
+        {
+            foreach (var k in res.Keys)
+            {
+                var valRes = res[k];
+                var valData = data[k];
+                res[k] = System.Math.Max(valRes, valData);
+            }
+            return res;
+        }
+        internal static Dictionary<TradingEvent, decimal> GetInitDict(decimal initValue)
+        {
+            var values = System.Enum.GetValues<TradingEvent>();
+            return values.ToDictionary(v => v, v => initValue);
+        }
+
+        internal static bool IsOperationAllowed(IManagedAccount account, decimal boutPrice, decimal count,
+    decimal accountCashPartFutures, decimal accountCashPart)
+        {
+            if (!BotModeSwitcher.CanPurchase()) return false;
+
+            var balance = account.Balance;
+            var total = account.Total;
+
+            var futures = account.Assets.Values.FirstOrDefault(v => v.Type == AssetType.Futures);
+            if (futures != null)
+            {
+                if ((balance - boutPrice * count) / total < accountCashPartFutures) return false;
+            }
+            else
+            {
+                if ((balance - boutPrice * count) / total < accountCashPart) return false;
+            }
+
+            return true;
+        }
+
+        internal static INewPrice FilterHighFreqValues(INewPrice message, Dictionary<string, List<INewPrice>> pricesCache1)
+        {
+            if (!pricesCache1.TryGetValue(message.Figi, out var list))
+            {
+                list = new List<INewPrice>();
+                pricesCache1[message.Figi] = list;
+            }
+            list.Add(message);
+
+            if ((list.Last().Time - list.First().Time).TotalSeconds < 0.5)
+            {
+                list.Add(message);
+                return message;
+            }
+            else
+            {
+                message = new PriceChange()
+                {
+                    Figi = message.Figi,
+                    Ticker = message.Ticker,
+                    Count = list.Sum(l => l.Count),
+                    Direction = message.Direction,
+                    IsHistoricalData = message.IsHistoricalData,
+                    Time = message.Time,
+                    Value = list.Sum(l => l.Value) / list.Count
+                };
+                list.Clear();
+                return message;
+            }
+        }
+
+    }
+}